Koubouros, Michail, Malliaropulos, Dimitrios, Panopoulou, Ekaterini (2010) Long-run Cash-flow and Discount-rate Risks in the Cross-section of US Returns. European Journal of Finance, 16 (3). pp. 227-244. ISSN 1351-847X. (doi:10.1080/13518470903102419) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:34606)
The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. | |
Official URL: http://dx.doi.org/10.1080/13518470903102419 |
Abstract
This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock-specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton's intertemporal capital asset pricing model to test whether these four sources of risk command different risk prices. The model performs well in pricing average returns on single- and double-sorted portfolios according to size, book-to-market, dividend-price ratios and past risk. It generates high estimates for the explained cross-sectional variation in average returns, lower average pricing errors than the Fama–French three-factor model and economically and statistically acceptable estimates for the coefficient of relative risk aversion.
Item Type: | Article |
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DOI/Identification number: | 10.1080/13518470903102419 |
Uncontrolled keywords: | CAPM, cash-flow risk, discount-rate risk, asset pricing |
Subjects: |
H Social Sciences H Social Sciences > H Social Sciences (General) |
Divisions: | Divisions > Kent Business School - Division > Kent Business School (do not use) |
Depositing User: | Catherine Norman |
Date Deposited: | 10 Jul 2013 15:39 UTC |
Last Modified: | 05 Nov 2024 10:17 UTC |
Resource URI: | https://kar.kent.ac.uk/id/eprint/34606 (The current URI for this page, for reference purposes) |
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